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A Frequency Selective Filter for Short-Length Time Series

Iacobucci, Alessandra; Noullez, Alain - Centre de recherche en Économie (OFCE), Sciences … - 2004

An effective and easy-to-implement frequency filter is designed by convolving a Hamming window with the ideal rectangular filter response function. Three other filters (Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald) are critically reviewed. The behavior of the Hamming-windowed filter...

Persistent link: https://www.econbiz.de/10005440485

Spectral analysis for economic time series

Iacobucci, Alessandra - In: New tools of economic dynamics, (pp. 203-219). 2005

Persistent link: https://www.econbiz.de/10003029088

Spectral analysis for economic time series

Iacobucci, Alessandra (contributor) - 2003

Persistent link: https://www.econbiz.de/10002850330

A frequency selective filter for short-length time series

Iacobucci, Alessandra (contributor) - 2004

Persistent link: https://www.econbiz.de/10002850352

A Frequency-selective Filter for Short-Length Time Series

Noullez, Alain; Iacobucci, Alessandra - Society for Computational Economics - SCE - 2004

An effective and easy-to-implement frequency filter is designed by convolving a Hamming window with the ideal rectangular filter response function. Three other filters, Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald, are critically reviewed. The behavior of the Hamming-windowed filter...

Persistent link: https://www.econbiz.de/10005345280